1. Weighting STA 320 Design and Analysis of Causal Studies Dr. Kari Lock Morgan and Dr. Fan Li Department of Statistical Science Duke University

2. Homework 2 Unconfounded Describe imbalance – direction matters Dummy variables and interactions Rubin 2007 common comments: o Full probability model on the science? o Throwing away units => bias? o Regression?

3. Regression Coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) -4150.0 574.2 -7.228 1.13e-10 *** x 1102.4 143.1 7.706 1.12e-11 *** w -1899.6 515.2 -3.687 0.000374 ***

4. Regression Regression models are okay when covariate balance is good between the groups (randomized experiment, after subclassification or matching) If covariate balance bad (after unadjusted observational study), regression models rely heavily on extrapolation, and can be very sensitive to departures from linearity

5. Decisions Matching: o with or without replacement? o 1:1, 2:1, … ? o distance measure? o what to match on? o how to weight variables? o exact matching for any variable(s)? o calipers for when a match is “acceptable”? o…o… Let’s try it on the Lalonde data…

6. Weighting An alternative to either subclassification or matching is to use weighting Each unit gets a weight, and estimates are a weighted average of the observed outcomes within each group weights sum to 1 within each group

7. Observed Difference in Means For the simple estimator observed difference in means: treated units weighted by 1/N T and control units weighted by 1/N C

8. Subclassification Sample size Subclass 1Subclass 2 Control84 Treatment26 Weights Subclass 1Subclass 2 Control(1/8)/2(1/4)/2 Treatment(1/2)/2(1/6)/2

9. Propensity Score Weighting Various different choices for the weights, most based on the propensity score, e(x) The following create covariate balance: Weights TreatmentControl Horvitz-Thompson (ATE) ATT Overlap

10. Weighting Methods Horvitz-Thompson (ATE, average treatment effect): Weights sample to look like covariate distribution of entire sample (like subclassification) ATT (Average treatment effect for the treated): Weights sample to look like covariate distribution of treatment group (like matching) Overlap: Weights sample to emphasize the “overlap” between the treatment and control groups (new: Profs Li and Morgan)

11. Toy Example Control simulated from N(0,1) Treatment simulated from N(2, 1) Weighted Means ControlTreatment Unweighted0.031.98 HT (ATE)1.190.74 ATT2.221.98 Overlap1.01

12. Weighting Methods Don Rubin does not like weighting estimators – he says you should use subclassification or matching Why? The weights everyone uses (HT, ATT) don’t work! Prof Li and I working together to develop the overlap weight to address this problem

13. Weighting Methods Problem with propensity scores in the denominator: weights can blow up for propensity scores close to 0 or 1, and extreme units can dominate

14. Toy Example

15. Racial Disparity Goal: estimate racial disparity in medical expenditures (causal inference?) The Institute of Medicine defines disparity as “a difference in treatment provided to members of different racial (or ethnic) groups that is not justified by the underlying health conditions or treatment preferences of patients” Balance health status and demographic variables; observe difference in health expenditures

16. MEPS Data Medical Expenditure Panel Survey (2009) Adults aged 18 and older o 9830 non-Hispanic Whites o 4020 Blacks o 1446 Asians o 5280 Hispanics 3 different comparisons: non-Hispanic whites with each minority group

17. Propensity Scores 31 covariates (5 continuous, 26 binary), mix of health indicators and demographic variables Logistic regression with all main effects Separate propensity score model for each minority group

18. MEPS Weights

19. One High Asian Weight One Asian has a weight of 30%! (out of 1446 Asians) 78 year old Asian lady with a BMI of 55.4 (very high, highest Asian BMI in data) In the sample, White people are older and fatter, so this obese old Asian lady has a very high propensity score (0.9998) Unnormalized weight: 1/(1-0.9998) = 5000 This is too extreme – will mess up weights with propensity score in the denominator

20. Truncate? In practice people truncate these extreme weights to avoid this problem, but then estimates can become very dependent on truncation choice

21. MEPS Imbalance

24. Using the overlap weights, largest imbalance was a difference in means 0.0000003 standard errors apart For the Asian and Hispanic comparison, HT and ATT gave some differences in means over 74 standard errors apart!!!! (BMI) Initial imbalance can make propensity scores in the denominator of weights mess up horribly

25. Overlap Weights The overlap weights provide better balance and avoid extreme weights Automatically emphasizes those units who are comparable (could be in either treatment group) Pros: Better balance, better estimates, lower standard errors Con: estimand not clear

26. Disparity Estimates Estimated disparities for total health care expenditure, after weighting:

27. Weighting Weighting provides a convenient and flexible way to do causal inference Easy to incorporate into other models Easy to incorporate survey weights However, conventional weighting methods that place the propensity score in the denominator can go horribly wrong The overlap weighting method is a new alternative developed to avoid this problem

28. Review Not everything you need to know, but some of the main points…

29. Causality Causality is tied to an action (treatment) Potential outcomes represent the outcome for each unit under treatment and control A causal effect compares the potential outcome under treatment to the potential outcome under control for each unit In reality, only one potential outcome observed for each unit, so need multiple units to estimate causal effects

30. SUTVA, Framework SUTVA assumes no interference between units and only one version of each treatment Y, W, Y i obs, Y i mis The assignment mechanism (how units are assigned to treatments) is important to consider Using only observed outcomes can be misleading (e.g. Perfect Doctor) Potential outcome framework and Rubin’s Causal Model can help to clarify questions of causality (e.g. Lord’s Paradox)

31. Assignment Mechanism Covariates (pre-treatment variables) are often important in causal inference Assignment probabilities: o Pr( W | X, Y (1), Y (0)) o p i ( X, Y (1), Y (0)) = Pr(W i | X, Y (1), Y (0)) Properties of the assignment mechanism: o individualistic o probabilistic o unconfounded o known and controlled

32. Randomized Experiments We’ll cover four types of classical randomized experiments: o Bernoulli randomized experiment o Completely randomized experiment o Stratified randomized experiment o Paired randomized experiment Increasingly restrictive regarding possible assignment vectors

33. Fisher Inference Sharp null of no treatment effect allows you to fill in missing potential outcomes under the null Randomization distribution: distribution of the statistic due to random assignment, assuming the null p-value: Proportion of statistics in the randomization distribution as extreme as observed statistic

34. Neyman’s Inference (Finite Sample) 1.Define the estimand: 2. unbiased estimator of the estimand: 3. true sampling variance of the estimator 4. unbiased estimator of the true sampling variance of the estimator 5.Assume approximate normality to obtain p- value and confidence interval 34 (IMPOSSIBLE!) Overestimate: Slide adapted from Cassandra Pattanayak, Harvard

35. Fisher vs Neyman FisherNeyman Goal: testingGoal: estimation Considers only random assignment Considers random assignment and random sampling H 0 : no treatment effectH 0 : average treatment effect = 0 Works for any test statistic Difference in means Exact distributionApproximate, relies on large n Works for any known assignment mechanism Only derived for common designs

36. Summary: Using Covariates By design : o stratified randomized experiments o paired randomized experiments o rerandomization By analysis : o outcome: gain scores o separate analyses within subgroups o regression o imputation

37. Randomize subjects to treated and control Collect covariate data Specify criteria determining when a randomization is unacceptable; based on covariate balance (Re)randomize subjects to treated and control Check covariate balance 1) 2) Conduct experiment unacceptable acceptable Analyze results (with a randomization test) 3) 4) RERANDOMIZATION

38. 1000 Randomizations

39. Select Facts about Classical Randomized Experiments Timing of treatment assignment clear Design and Analysis separate by definition: design automatically “prospective,” without outcome data Unconfoundedness, probabilisticness by definition Assignment mechanism – and so propensity scores – known Randomization of treatment assignment leads to expected balance on covariates (“Expected Balance” means that the joint distribution of covariates is the same in the active treatment and control groups, on average) Analysis defined by protocol rather than exploration 39 Slide by Cassandra Pattanayak

40. Select Facts about Observational Studies Timing of treatment assignment may not be specified Separation between design and analysis may become obscured, if covariates and outcomes arrive in one data set Unconfoundedness, probabilisticness not guaranteed Assignment mechanism – and therefore propensity scores – unknown Lack of randomization of treatment assignment leads to imbalances on covariates Analysis often exploratory rather than defined by protocol 40 Slide by Cassandra Pattanayak

41. Best Practices for Observational Studies Timing of treatment assignment may not be specified Separation between design and analysis may become obscured, if covariates and outcomes arrive in one data set Unconfoundedness, probabilisticness not guaranteed Assignment mechanism – and therefore propensity scores – unknown Lack of randomization of treatment assignment leads to imbalances on covariates Analysis often exploratory rather than defined by protocol 41 Slide by Cassandra Pattanayak

42. Best Practices for Observational Studies 1. Determine timing of treatment assignment relative to measured variables Separation between design and analysis may become obscured, if covariates and outcomes arrive in one data set Unconfoundedness, probabilisticness not guaranteed Assignment mechanism – and therefore propensity scores – unknown Lack of randomization of treatment assignment leads to imbalances on covariates Analysis often exploratory rather than defined by protocol 42 Slide by Cassandra Pattanayak

43. Best Practices for Observational Studies 1. Determine timing of treatment assignment relative to measured variables 2. Hide outcome data until design phase is complete Unconfoundedness, probabilisticness not guaranteed Assignment mechanism – and therefore propensity scores – unknown Lack of randomization of treatment assignment leads to imbalances on covariates Analysis often exploratory rather than defined by protocol 43 Slide by Cassandra Pattanayak

44. Best Practices for Observational Studies 1. Determine timing of treatment assignment relative to measured variables 2. Hide outcome data until design phase is complete 3. Identify key covariates likely related to outcomes and/or treatment assignment. If key covariates not observed or very noisy, usually better to give up and find a better data source. 4. Remove units not similar to any units in opposite treatment group Assignment mechanism – and therefore propensity scores – unknown Lack of randomization of treatment assignment leads to imbalances on covariates Analysis often exploratory rather than defined by protocol 44 Slide by Cassandra Pattanayak

45. Best Practices for Observational Studies 1. Determine timing of treatment assignment relative to measured variables 2. Hide outcome data until design phase is complete 3. Identify key covariates likely related to outcomes and/or treatment assignment. If key covariates not observed or very noisy, usually better to give up and find a better data source. 4. Remove units not similar to any units in opposite treatment group Assignment mechanism – and therefore propensity scores – unknown Lack of randomization of treatment assignment leads to imbalances on covariates Analysis often exploratory rather than defined by protocol 45 Slide by Cassandra Pattanayak

46. Best Practices for Observational Studies 1. Determine timing of treatment assignment relative to measured variables 2. Hide outcome data until design phase is complete 3. Identify key covariates likely related to outcomes and/or treatment assignment. If key covariates not observed or very noisy, usually better to give up and find a better data source. 4. Remove units not similar to any units in opposite treatment group 5. Estimate propensity scores, as a way to… 6. Find subgroups (subclasses or pairs) in which the active treatment and control groups are balanced on covariates (not always possible; inferences limited to subgroups where balance is achieved) Analysis often exploratory rather than defined by protocol 46 Slide by Cassandra Pattanayak

47. Best Practices for Observational Studies 1. Determine timing of treatment assignment relative to measured variables 2. Hide outcome data until design phase is complete 3. Identify key covariates likely related to outcomes and/or treatment assignment. If key covariates not observed or very noisy, usually better to give up and find a better data source. 4. Remove units not similar to any units in opposite treatment group 5. Estimate propensity scores, as a way to… 6. Find subgroups (subclasses or pairs) in which the treatment groups are balanced on covariates (not always possible; inferences limited to subgroups where balance is achieved) Analysis often exploratory rather than defined by protocol 47 Slide by Cassandra Pattanayak

48. Best Practices for Observational Studies 1. Determine timing of treatment assignment relative to measured variables 2. Hide outcome data until design phase is complete 3. Identify key covariates likely related to outcomes and/or treatment assignment. If key covariates not observed or very noisy, usually better to give up and find a better data source. 4. Remove units not similar to any units in opposite treatment group 5. Estimate propensity scores, as a way to… 6. Find subgroups (subclasses or pairs) in which the active treatment and control groups are balanced on covariates (not always possible; inferences limited to subgroups where balance is achieved) 7. Analyze according to pre-specified protocol 48 Slide by Cassandra Pattanayak

49. Best Practices for Observational Studies 1. Determine timing of treatment assignment relative to measured variables 2. Hide outcome data until design phase is complete 3. Identify key covariates likely related to outcomes and/or treatment assignment. If key covariates not observed or very noisy, usually better to give up and find a better data source. 4. Remove units not similar to any units in opposite treatment group 5. Estimate propensity scores, as a way to… 6. Find subgroups (subclasses or pairs) in which the active treatment and control groups are balanced on covariates (not always possible; inferences limited to subgroups where balance is achieved) 7. Analyze according to pre-specified protocol 49 Design Observational Study to Approximate Hypothetical, Parallel Randomized Experiment Slide by Cassandra Pattanayak

50. Propensity Score Estimation Fit logistic regression, regressing W on covariates and any interactions or transformations of covariates that may be important Force all primary covariates to be in the model; choose others via variable selection (likelihood ratio, stepwise…) Trim units with no comparable counterpart in opposite group, and iterate between trimming and fitting propensity score model

51. Subclassification Divide units into subclasses within which the propensity scores are relatively similar Estimate causal effects within each subclass Average these estimates across subclasses (weighted by subclass size) (analyze as a stratified experiment)

52. Matching Matching: Find control units to “match” the units in the treatment group Restrict the sample to matched units Analyze the difference for each match (analyze as matched pair experiment) Useful when one group (usually the control) is much larger than the other

53. Decisions Estimating propensity score: o What variables to include? o How many units to trim, if any? Subclassification: o How many subclasses and where to break? Matching: o with or without replacement? o 1:1, 2:1, … ? o how to weight variables / distance measure? o exact matching for any variable(s)? o calipers for when a match is “acceptable”? o…o…

54. Weighting Weighting provides a convenient and flexible way to do causal inference However, conventional weighting methods that place the propensity score in the denominator can go horribly wrong The overlap weighting method is a new alternative developed to avoid this problem

55. To Do Read Ch 19 Midterm on Monday, 3/17!